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Impact of Covid-19 on the Performance of The Nigeria`s Stock Market

Author

Listed:
  • Muideen Adejare Isiaka

    (Department of Economics & Actuarial Sciences, Crescent University, Abeokuta, Ogun State. Nigeria)

  • Modinat Omolara Ogunmolu

    (Department of Economics & Actuarial Sciences, Crescent University, Abeokuta, Ogun State. Nigeria)

  • Lukuman Olalekan Lamidi

    (Federal College of Animal Health and Production Technology, Moor Plantation, Apata, Ibadan, Oyo State, Nigeria)

  • Saheed Timileyin Ogunmolu

    (Department of Economics & Actuarial Sciences, Crescent University, Abeokuta, Ogun State. Nigeria)

Abstract

This study identifies the structural break date in the series of All Share Index (ASI) of the Nigeria’s capital market using innovational outlier methodology with the Augmented Dickey-Fuller unit root with structural break test. The study also examines the descriptive characteristics and model structure of ASI before and after the identified break date using ARIMA methodology. It uses daily data of ASI from November 27, 2018 to November 24, 2020. The results indicate that the break date is March 6, 2020. The mean results decreased after the break. The series before the break follows ARIMA (3,1,12), while it follows ARIMA (7,1,9) after the break. The diagnostic test revealed that the ARIMA (7,1,9) fails to capture the entire variation in the series. The modified model for post break period is AR(7), MA(8) and MA(9) process. However, the estimated volatility of the series decreased after the break. The study recommends that capital market studies and policies going forward should incorporate the impact of Covid-19 induced structural break.

Suggested Citation

  • Muideen Adejare Isiaka & Modinat Omolara Ogunmolu & Lukuman Olalekan Lamidi & Saheed Timileyin Ogunmolu, 2021. "Impact of Covid-19 on the Performance of The Nigeria`s Stock Market," Business & Management Compass, University of Economics Varna, issue 3, pages 294-308.
    • Handle: RePEc:vrn:journl:y:2021:i:3:p:294-308
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    References listed on IDEAS

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    More about this item

    Keywords

    Covid-19; Stock Market; All Share Index; Structural Break; ARIMA;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G40 - Financial Economics - - Behavioral Finance - - - General
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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